Exim is still under active development; the version of Exim included in
Linux distributions is probably not the latest release. If you need a
feature or a bugfix found in a later release, you have to obtain a
copy of the source code and compile it yourself. The latest release can be
found via Exim's web page at
http://www.exim.org.

Linux is one of the many operating systems supported by the Exim source. To
compile Exim for Linux, you should edit the src/EDITME
file and put the result in a file called Local/Makefile.
There are comments in src/EDITME that tell you what the
various settings are used for. Then run make. See the Exim
manual for detailed information on building Exim from source.